Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0861
Annualized Std Dev 0.2776
Annualized Sharpe (Rf=0%) 0.3103

Row

Daily Return Statistics

Close
Observations 3610.0000
NAs 1.0000
Minimum -0.1105
Quartile 1 -0.0071
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0091
Maximum 0.1294
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0175
Skewness -0.2749
Kurtosis 6.6513

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0120
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.6567
Historical VaR (95%) -0.0270
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0273
Modified ES (95%) -0.0491
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-09 2011-04-04 -0.6567 713 190 523
2018-01-12 2020-03-23 2021-01-06 -0.5386 739 549 190
2011-05-02 2011-10-03 2013-01-02 -0.3531 421 108 313
2014-09-03 2016-02-11 2016-07-12 -0.2765 468 364 104
2007-10-30 2008-01-22 2008-04-16 -0.1827 116 57 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -0.6 -1.1 -1 -2.7
2007 1 -0.1 -0.1 -0.5 1 0.3 0.1 2 1.3 -3 1.1 -1 2.1
2008 3.3 -3.1 3.3 -0.2 0.4 -0.4 -1.8 -0.1 -1.9 3.6 -8.9 2.6 -4
2009 -4.2 -0.8 1.4 0.9 3.7 1.2 1 -2.5 -3.4 -3.2 1.4 -1.2 -5.8
2010 1.7 2.4 1.6 -2.5 -2 -0.8 0.4 3.9 0.6 -0.3 2.4 -0.4 7
2011 2.5 -2.2 0.5 0.8 -2.8 1.5 -0.1 -2.1 -3 -3.5 0.2 0.3 -7.9
2012 2.3 1.1 0 0 -3.2 4.8 -0.6 0.9 0.2 2.2 0.2 2.1 10.1
2013 1.2 -0.3 -1.3 -2.2 -0.8 1.2 1.3 -0.9 0.8 -0.4 0.4 0.2 -0.9
2014 -0.1 0.1 1.3 -0.4 -0.4 0.7 0.3 0.4 -3.5 2.3 -1.5 -1.1 -2
2015 0 -0.1 -0.6 1.1 0.1 0.1 0.2 -3.4 1 0.2 0 -0.5 -2
2016 -0.4 1.4 0.5 0.2 0.1 2 -0.5 0.6 0.7 -0.6 -0.3 -1.3 2.3
2017 0.6 2.5 0.6 -0.1 0.9 0.9 0.1 1 0.1 0.2 -0.2 -0.4 6.3
2018 -0.9 0.2 3.1 -2.3 0.7 1.4 -1.2 -0.1 0.4 2.5 -0.4 0 3.4
2019 0.8 0.1 1.6 -0.9 -1.2 0.5 -1.9 0.3 -2.1 2.7 -0.7 0.5 -0.4
2020 -2.1 -2.2 -5.2 -3.8 -1.6 -1.9 -0.4 1.1 -0.5 -1.3 2.1 0.1 -14.8
2021 4.8 2.8 -0.4 NA NA NA NA NA NA NA NA NA 7.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-10-12  25.5 SPY    136.  0.0087   0.0081   0.0307   0.103     0.160    0.299    0.239 GLD    57.5  0.0107   0.01  
2 2006-10-16  26.2 SPY    137.  0.0015   0.013    0.037    0.104     0.153    0.303    0.252 GLD    59.2  0.0102   0.0344
3 2006-10-17  25.8 SPY    136. -0.0031   0.0084   0.0323   0.0853    0.145    0.294    0.240 GLD    58.6 -0.0088   0.0289
4 2006-10-18  25.8 SPY    137.  0.0013   0.011    0.0363   0.0942    0.159    0.310    0.269 GLD    58.6 -0.001    0.0301
5 2006-10-20  25.9 SPY    137.  0.0002   0.0015   0.0377   0.0842    0.163    0.305    0.275 GLD    58.8 -0.0106   0.0036
6 2006-10-24  26.3 SPY    138.  0.003    0.0108   0.0408   0.0871    0.149    0.334    0.266 GLD    58.2  0.0071  -0.0082
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart